MySQL tables have different extensions based on the storage engine you use.
The most common storage engines are MyISAM and InnoDB.
MyISAM tables can have 3 files per table, each with the name of the table but different extension.
for a MyISAM table you could have the .frm file, but also a .MYD and MYI
Now, the file you download from your hosting company has a .tar.gz extension because that is like the zip format in windows.
The sql extension indicates that the file has SQL statements that you can use to "restore" a database and/or table.
To "copy" tables in mysql you usually do not do a copy and paste of files, but you "export" and "import" sql statements.
you can find more information on how to import this sql file into your local copy of mysql here
http://dev.mysql.com/doc/refman/5.0/en/mysql.html
Diego Medina
Web Developer
http://www.fmpwizard.com
P.S. Please read
this post if you are going to post code